Skip to content

Multimarket exposure (MME) #27

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
xeroc wants to merge 6 commits into
base: beatrice
Choose a base branch
from
Open

Multimarket exposure (MME) #27

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
6 commits
Select commit Hold shift + click to select a range
efa7900
Initial implementation of multimarket exposure
emfrias Nov 6, 2018
f7c39d7
More test cases for invalid betting market groups
emfrias Nov 9, 2018
3b16826
Initial working version of multimarket exposure algorithm
emfrias Oct 24, 2018
f02dfbd
Implemented simpler, higher performance algorithm
emfrias Oct 24, 2018
d5a4cd4
Fix typo that causes compilation error in db_bet.cpp
xeroc Nov 21, 2018
2f92bac
Fix wrong asset being paid - needs unit test
xeroc Dec 3, 2018
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
2 changes: 1 addition & 1 deletion libraries/app/api.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -510,7 +510,7 @@ namespace graphene { namespace app {
break;
case impl_fba_accumulator_object_type:
break;
case impl_betting_market_position_object_type:
case impl_betting_market_group_position_object_type:
break;
case impl_global_betting_statistics_object_type:
break;
Expand Down
96 changes: 79 additions & 17 deletions libraries/chain/betting_market_evaluator.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -77,6 +77,11 @@ void_result betting_market_group_create_evaluator::do_evaluate(const betting_mar
FC_ASSERT(d.head_block_time() >= HARDFORK_1000_TIME);
FC_ASSERT(trx_state->_is_proposed_trx);

FC_ASSERT(op.resolution_constraint == betting_market_resolution_constraint::exactly_one_winner ||
op.resolution_constraint == betting_market_resolution_constraint::at_most_one_winner,
"invalid value for resolution_constraint");


// the event_id in the operation can be a relative id. If it is,
// resolve it and verify that it is truly an event
object_id_type resolved_event_id = op.event_id;
Expand Down Expand Up @@ -115,7 +120,11 @@ object_id_type betting_market_group_create_evaluator::do_apply(const betting_mar
betting_market_group_obj.asset_id = op.asset_id;
betting_market_group_obj.never_in_play = op.never_in_play;
betting_market_group_obj.delay_before_settling = op.delay_before_settling;
betting_market_group_obj.resolution_constraint = op.resolution_constraint;
});

fc_ddump(fc::logger::get("betting"), (op)(new_betting_market_group));

return new_betting_market_group.id;
} FC_CAPTURE_AND_RETHROW( (op) ) }

Expand Down Expand Up @@ -186,7 +195,7 @@ void_result betting_market_group_update_evaluator::do_apply(const betting_market
bet_obj.end_of_delay.reset();
});

d.place_bet(delayed_bet);
d.try_to_match_bet(delayed_bet);
}
}
}
Expand All @@ -196,7 +205,8 @@ void_result betting_market_group_update_evaluator::do_apply(const betting_market

void_result betting_market_create_evaluator::do_evaluate(const betting_market_create_operation& op)
{ try {
FC_ASSERT(db().head_block_time() >= HARDFORK_1000_TIME);
database& d = db();
FC_ASSERT(d.head_block_time() >= HARDFORK_1000_TIME);
FC_ASSERT(trx_state->_is_proposed_trx);

// the betting_market_group_id in the operation can be a relative id. If it is,
Expand All @@ -209,7 +219,13 @@ void_result betting_market_create_evaluator::do_evaluate(const betting_market_cr
resolved_betting_market_group_id.type() == betting_market_group_id_type::type_id,
"betting_market_group_id must refer to a betting_market_group_id_type");
_group_id = resolved_betting_market_group_id;
FC_ASSERT(db().find_object(_group_id), "Invalid betting_market_group specified");
FC_ASSERT(d.find_object(_group_id), "Invalid betting_market_group specified");

// you can't add a betting market to a group that already has active bets in it
auto& position_index = d.get_index_type<betting_market_group_position_index>().indices().get<by_betting_market_group_bettor>();
auto position_iter = position_index.lower_bound(_group_id);
FC_ASSERT(position_iter == position_index.end(),
"You cannot add a betting market to a group which already has bets placed in it");

return void_result();
} FC_CAPTURE_AND_RETHROW( (op) ) }
Expand All @@ -231,9 +247,9 @@ void_result betting_market_update_evaluator::do_evaluate(const betting_market_up
FC_ASSERT(d.head_block_time() >= HARDFORK_1000_TIME);
FC_ASSERT(trx_state->_is_proposed_trx);
_betting_market = &op.betting_market_id(d);
FC_ASSERT(op.new_group_id.valid() || op.new_description.valid() || op.new_payout_condition.valid(), "nothing to change");
FC_ASSERT(op.new_group_id || op.new_description || op.new_payout_condition, "nothing to change");

if (op.new_group_id.valid())
if (op.new_group_id)
{
// the betting_market_group_id in the operation can be a relative id. If it is,
// resolve it and verify that it is truly an betting_market_group
Expand All @@ -246,6 +262,15 @@ void_result betting_market_update_evaluator::do_evaluate(const betting_market_up
"betting_market_group_id must refer to a betting_market_group_id_type");
_group_id = resolved_betting_market_group_id;
FC_ASSERT(d.find_object(_group_id), "invalid betting_market_group specified");

// you can't move a betting market to or from a group that already has active bets in it
auto& position_index = d.get_index_type<betting_market_group_position_index>().indices().get<by_betting_market_group_bettor>();
auto position_iter = position_index.lower_bound(_betting_market->group_id);
FC_ASSERT(position_iter == position_index.end(),
"You cannot move a betting market out of a group which already has bets placed in it");
position_iter = position_index.lower_bound(_group_id);
FC_ASSERT(position_iter == position_index.end(),
"You cannot move a betting market into a group which already has bets placed in it");
}

return void_result();
Expand Down Expand Up @@ -274,7 +299,7 @@ void_result bet_place_evaluator::do_evaluate(const bet_place_operation& op)
FC_ASSERT( op.amount_to_bet.asset_id == _betting_market_group->asset_id,
"Asset type bet does not match the market's asset type" );

ddump((_betting_market_group->get_status()));
//ddump((_betting_market_group->get_status()));
FC_ASSERT( _betting_market_group->get_status() != betting_market_group_status::frozen,
"Unable to place bets while the market is frozen" );
FC_ASSERT( _betting_market_group->get_status() != betting_market_group_status::closed,
Expand Down Expand Up @@ -308,6 +333,39 @@ void_result bet_place_evaluator::do_evaluate(const bet_place_operation& op)

FC_ASSERT(op.amount_to_bet.amount > share_type(), "Cannot place a bet with zero amount");

#ifdef ENABLE_SIMPLE_CROSS_MARKET_MATCHING
// As a special case, when we have a betting market group with two markets that has exactly
// one winner, we treat it as one market, with backs in the second market going on the order books
// as lays in the first, and lays in the second market becoming backs on the first.
auto& betting_market_index = d.get_index_type<betting_market_object_index>().indices().get<by_betting_market_group_id>();
auto betting_markets_in_group = boost::make_iterator_range(betting_market_index.equal_range(_betting_market_group->id));
if (boost::size(betting_markets_in_group) == 2 &&
_betting_market->id == betting_markets_in_group.back().id &&
_betting_market_group->resolution_constraint == betting_market_resolution_constraint::exactly_one_winner)
{
_betting_market = &betting_markets_in_group.front();
_effective_bet_type = op.back_or_lay == bet_type::back ? bet_type::lay : bet_type::back;
_new_odds = GRAPHENE_BETTING_ODDS_PRECISION + GRAPHENE_BETTING_ODDS_PRECISION * GRAPHENE_BETTING_ODDS_PRECISION / (op.backer_multiplier - GRAPHENE_BETTING_ODDS_PRECISION);
}
else
_effective_bet_type = op.back_or_lay;
#endif

// if this is the first bet in the betting market group, do sanity checks
// if there are already other bets, then we don't need to do them because we know
// that we did the check on the first bet and we prevented anything important from
// changing while those bets existed.
auto& position_index = d.get_index_type<betting_market_group_position_index>().indices().get<by_betting_market_group_bettor>();
auto position_iter = position_index.lower_bound(_betting_market_group->id);
if (position_iter == position_index.end())
{
auto& betting_market_index = d.get_index_type<betting_market_object_index>().indices().get<by_betting_market_group_id>();
auto betting_markets_in_group = boost::make_iterator_range(betting_market_index.equal_range(_betting_market_group->id));
FC_ASSERT(boost::size(betting_markets_in_group) > 1 ||
_betting_market_group->resolution_constraint == betting_market_resolution_constraint::at_most_one_winner,
"A betting market group with only one market must be set to at_most_one_winner");
}

return void_result();
} FC_CAPTURE_AND_RETHROW( (op) ) }

Expand All @@ -317,10 +375,16 @@ object_id_type bet_place_evaluator::do_apply(const bet_place_operation& op)
const bet_object& new_bet =
d.create<bet_object>([&](bet_object& bet_obj) {
bet_obj.bettor_id = op.bettor_id;
bet_obj.betting_market_id = op.betting_market_id;
bet_obj.betting_market_id = _betting_market->id;
bet_obj.amount_to_bet = op.amount_to_bet;
bet_obj.backer_multiplier = op.backer_multiplier;
#ifdef ENABLE_SIMPLE_CROSS_MARKET_MATCHING
bet_obj.back_or_lay = _effective_bet_type;
bet_obj.placed_as_back_or_lay = op.back_or_lay;
#else
bet_obj.back_or_lay = op.back_or_lay;
#endif

if (_betting_market_group->bets_are_delayed()) {
// the bet will be included in the block at time `head_block_time() + block_interval`, so make the delay relative
// to the time it's included in a block
Expand All @@ -329,18 +393,16 @@ object_id_type bet_place_evaluator::do_apply(const bet_place_operation& op)
});

bet_id_type new_bet_id = new_bet.id; // save the bet id here, new_bet may be deleted during place_bet()

// call place_bet() which pays for the bet and adjusts the position, but leaves the bet unmatched.
// the bet could be canceled here if it was too small to ever match
bool bet_was_removed = d.place_bet(new_bet);

// place the bet, this may return guaranteed winnings
// this may return guaranteed winnings
ddump((_betting_market_group->bets_are_delayed())(_current_params->live_betting_delay_time()));
if (!_betting_market_group->bets_are_delayed() || _current_params->live_betting_delay_time() <= 0)
d.place_bet(new_bet);

// now that their guaranteed winnings have been returned, check whether they have enough in their account to place the bet
FC_ASSERT( d.get_balance( *fee_paying_account, *_asset ).amount >= op.amount_to_bet.amount, "insufficient balance",
("balance", d.get_balance(*fee_paying_account, *_asset))("amount_to_bet", op.amount_to_bet.amount) );

// pay for it
d.adjust_balance(fee_paying_account->id, -op.amount_to_bet);
if (!bet_was_removed &&
(!_betting_market_group->bets_are_delayed() || _current_params->live_betting_delay_time() <= 0))
d.try_to_match_bet(new_bet);

return new_bet_id;
} FC_CAPTURE_AND_RETHROW( (op) ) }
Expand Down
16 changes: 15 additions & 1 deletion libraries/chain/betting_market_group_object.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -358,6 +358,7 @@ betting_market_group_object::betting_market_group_object(const betting_market_gr
total_matched_bets_amount(rhs.total_matched_bets_amount),
never_in_play(rhs.never_in_play),
delay_before_settling(rhs.delay_before_settling),
resolution_constraint(rhs.resolution_constraint),
settling_time(rhs.settling_time),
my(new impl(this))
{
Expand All @@ -376,6 +377,7 @@ betting_market_group_object& betting_market_group_object::operator=(const bettin
total_matched_bets_amount = rhs.total_matched_bets_amount;
never_in_play = rhs.never_in_play;
delay_before_settling = rhs.delay_before_settling;
resolution_constraint = rhs.resolution_constraint;
settling_time = rhs.settling_time;

my->state_machine = rhs.my->state_machine;
Expand Down Expand Up @@ -435,7 +437,7 @@ betting_market_group_status betting_market_group_object::get_status() const
(void)&state_constants_are_correct;
betting_market_group_state state = (betting_market_group_state)my->state_machine.current_state()[0];

ddump((state));
// ddump((state));

switch (state)
{
Expand Down Expand Up @@ -539,6 +541,16 @@ void betting_market_group_object::dispatch_new_status(database& db, betting_mark
}


bool betting_market_group_position_object::is_empty() const
{
for (const betting_market_position& market_position : market_positions)
if (market_position.pay_if_payout_condition != 0 ||
market_position.pay_required_by_unmatched_bets != 0)
return false;
return pay_if_canceled == 0;
}


} } // graphene::chain

namespace fc {
Expand All @@ -554,6 +566,7 @@ namespace fc {
("total_matched_bets_amount", betting_market_group_obj.total_matched_bets_amount)
("never_in_play", betting_market_group_obj.never_in_play)
("delay_before_settling", betting_market_group_obj.delay_before_settling)
("resolution_constraint", betting_market_group_obj.resolution_constraint)
("settling_time", betting_market_group_obj.settling_time)
("status", betting_market_group_obj.get_status());

Expand All @@ -570,6 +583,7 @@ namespace fc {
betting_market_group_obj.total_matched_bets_amount = v["total_matched_bets_amount"].as<graphene::chain::share_type>();
betting_market_group_obj.never_in_play = v["never_in_play"].as<bool>();
betting_market_group_obj.delay_before_settling = v["delay_before_settling"].as<uint32_t>();
betting_market_group_obj.resolution_constraint = v["resolution_constraint"].as<graphene::chain::betting_market_resolution_constraint>();
betting_market_group_obj.settling_time = v["settling_time"].as<fc::optional<fc::time_point_sec>>();
graphene::chain::betting_market_group_status status = v["status"].as<graphene::chain::betting_market_group_status>();
const_cast<int*>(betting_market_group_obj.my->state_machine.current_state())[0] = (int)status;
Expand Down
18 changes: 0 additions & 18 deletions libraries/chain/betting_market_object.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -122,24 +122,6 @@ share_type bet_object::get_minimum_matching_amount() const
return (back_or_lay == bet_type::lay ? GRAPHENE_BETTING_ODDS_PRECISION : backer_multiplier - GRAPHENE_BETTING_ODDS_PRECISION) / gcd;
}


share_type betting_market_position_object::reduce()
{
share_type additional_not_cancel_balance = std::min(pay_if_payout_condition, pay_if_not_payout_condition);
if (additional_not_cancel_balance == 0)
return 0;
pay_if_payout_condition -= additional_not_cancel_balance;
pay_if_not_payout_condition -= additional_not_cancel_balance;
pay_if_not_canceled += additional_not_cancel_balance;

share_type immediate_winnings = std::min(pay_if_canceled, pay_if_not_canceled);
if (immediate_winnings == 0)
return 0;
pay_if_canceled -= immediate_winnings;
pay_if_not_canceled -= immediate_winnings;
return immediate_winnings;
}

// betting market object implementation
namespace
{
Expand Down
Loading